Closed all except HA, which has moved too far. It is monthly expiration, so still has more time to recover (or loose). Overall loosing day, gave up yesterday's gain and some. Will post all the trades EOD.
Earnings journal
- Thread starter TheBigShort
- Start date
Closed all except HA, which has moved too far. It is monthly expiration, so still has more time to recover (or loose). Overall loosing day, gave up yesterday's gain and some. Will post all the trades EOD.
I took a loss on both positions today.
Closed JNPR straddle 2.64(.93)
Closed T straddle 1.10 (.15)
I have bee doing some research this morning and it looks like EPS growth rate has a strong correlation with event volatility. Just working on some code to back test some stocks and will PM you guys if I find anything worth while.
Closed JNPR straddle 2.64(.93)
Closed T straddle 1.10 (.15)
I have bee doing some research this morning and it looks like EPS growth rate has a strong correlation with event volatility. Just working on some code to back test some stocks and will PM you guys if I find anything worth while.
Did you get any fills? I spent most of the day on research and coding so no trades for me
Hey srinir, just thought I'd mention, your facebook trade (just looking at the short straddle) only implied a 6.8% move which is actually a bit cheap compared to Facebook's previous moves. I always double check the implied moves now rather than use a pre determined model. Ie Bloomberg had FB at a 9.8% implied move which is ridiculous. I put on my JNPR trade last night BBerg implied 9.8% move and because I didn't double check the actual data, it looked expensive. But it actually was implying a 5.2% move which was SUPER cheap (unfortunately I had already placed the trade).
I can send you excel spread sheet for you to double check if you'd like. The problem is, it's time consuming and I know you ar a busy person
I had 6.34% from my calculation. I need to double check my previous move calculations. It showed much lower average absolute move.
Good thing, I had Bfly for this position.
Anyway, please do send work sheet
Np!Ill upload when I get home or tomorrow morning. In the mean time, here is FB pasts moves. Avg move of 6.9%. That was a very large move today. Wow good thing it was BFLY. @Kevin Schmit voice ringing in my ears
3.81%
-18.96%
9.06%
3.32%
-2.05%
2.92%
-0.63%
-1.79%
-5.64%
1.35%
7.20%
15.52%
4.64%
-1.84%
-2.62%
2.31%
-6.08%
5.18%
-0.80%
14.10%
2.44%
29.61%
5.61%
-0.83%
19.13%
-11.70%
Ya. I have the similar numbers. I was leaning downside because of all the bad publicity. If it was downside move, I was not expecting lot of downside.
With huge error bands around the mean, we have to expect good with the bad with these earning plays